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| SUMMARY: NESTED | FIELD | CONSTR | METHOD | DETAIL: FIELD | CONSTR | METHOD |
java.lang.Object org.drip.analytics.core.Serializer org.drip.product.common.Component org.drip.product.common.CalibratableComponent org.drip.product.credit.CreditComponent org.drip.product.credit.Bond
public class Bond
This is the base class that extends CreditComponent abstract class and implements the functionality behind bonds of all kinds. Bond static data is captured in a set of 11 container classes – BondTSYParams, BondCouponParams, BondNotionalParams, BondFloaterParams, BondCurrencyParams, BondIdentifierParams, BondIRValuationParams, CompCRValParams, BondCFTerminationEvent, BondFixedPeriodGenerationParams, and one EmbeddedOptionSchedule object instance each for the call and the put objects. Each of these parameter set can be set separately.
| Nested Class Summary | |
|---|---|
class |
Bond.BondCalibrator
The BondCalibrator implements a calibrator that calibrates the yield, the credit basis, or the Z Spread for the bond given the price input. |
| Field Summary | |
|---|---|
BondCurrencyParams |
_ccyParams
Bond Currency Parameters |
BondCFTerminationEvent |
_cfteParams
Bond CF Termination Event Parameters |
BondCouponParams |
_cpnParams
Bond Coupon Parameters |
CompCRValParams |
_crValParams
Bond Credit Valuation Parameters |
BondFloaterParams |
_fltParams
Bond Floater Parameters |
BondIdentifierParams |
_idParams
Bond Identifier Parameters |
BondIRValuationParams |
_irValParams
Bond IR Valuation Parameters |
java.util.Map<JulianDate,java.util.Map<java.lang.String,java.lang.Double>> |
_mmFixings
Double map of date/rate index and fixings |
BondNotionalParams |
_notlParams
Bond Notional Parameters |
BondFixedPeriodGenerationParams |
_periodParams
Bond Fixed Period Generation Parameters |
QuotingParams |
_quotingParams
Bond Quoting Parameters |
BondTSYParams |
_tsyParams
Bond Treasury Parameters |
| Fields inherited from class org.drip.analytics.core.Serializer |
|---|
NULL_SER_STRING, VERSION |
| Constructor Summary | |
|---|---|
Bond()
Constructor: Constructs an empty bond object |
|
Bond(byte[] ab)
Bond de-serialization from input byte array |
| Method Summary | |
|---|---|
double |
calcAccrued(ValuationParams valParams,
ComponentMarketParams mktParams)
Calculate the bond's accrued for the period identified by the valuation date |
double |
calcBondBasisFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the Bond Basis from credit basis to Maturity |
double |
calcBondBasisFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the Bond Basis from credit basis to Workout |
double |
calcBondBasisFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the Bond Basis from G Spread to Maturity |
double |
calcBondBasisFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the Bond Basis from G Spread to Workout |
double |
calcBondBasisFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the Bond Basis from I Spread to Maturity |
double |
calcBondBasisFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the Bond Basis from I Spread to Workout |
double |
calcBondBasisFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the Bond Basis from Par ASW to Maturity |
double |
calcBondBasisFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the Bond Basis from Par ASW to Workout |
double |
calcBondBasisFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the Bond Basis to maturity from price |
double |
calcBondBasisFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the Bond Basis to Workout from price |
double |
calcBondBasisFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the Bond Basis from spread treasury benchmark to Maturity |
double |
calcBondBasisFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the Bond Basis from spread treasury benchmark to Workout |
double |
calcBondBasisFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond Basis from yield to maturity |
double |
calcBondBasisFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the Bond Basis from Yield to work-out |
double |
calcBondBasisFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond Basis from yield to maturity |
double |
calcBondBasisFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the Bond Basis from Z Spread to Maturity |
double |
calcBondBasisFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the Bond Basis from Z Spread to Workout |
double |
calcConvexityFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the Bond Convexity from Bond Basis to maturity |
double |
calcConvexityFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the Bond Convexity from Bond Basis to Workout |
double |
calcConvexityFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblCreditBasis)
Calculate the bond convexity from credit basis to Maturity |
double |
calcConvexityFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond convexity from credit basis to Workout |
double |
calcConvexityFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond convexity from G Spread to Maturity |
double |
calcConvexityFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond convexity from G Spread to Workout |
double |
calcConvexityFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond convexity from I Spread to Maturity |
double |
calcConvexityFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond convexity from I Spread to Workout |
double |
calcConvexityFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond convexity from Par ASW to Maturity |
double |
calcConvexityFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond convexity from Par ASW to Workout |
double |
calcConvexityFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond convexity to maturity from price |
double |
calcConvexityFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond convexity to Workout from price |
double |
calcConvexityFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond convexity from spread treasury benchmark to Maturity |
double |
calcConvexityFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond convexity from spread treasury benchmark to Workout |
double |
calcConvexityFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond convexity from Yield to maturity |
double |
calcConvexityFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond convexity from Workout Yield |
double |
calcConvexityFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond convexity from Yield to maturity |
double |
calcConvexityFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond convexity from Z Spread to maturity |
double |
calcConvexityFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond convexity from Z Spread to Workout |
double |
calcCreditBasisFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond credit basis from Bond Basis to maturity |
double |
calcCreditBasisFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond credit basis from Bond Basis to Workout |
double |
calcCreditBasisFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Credit Basis from G Spread to Maturity |
double |
calcCreditBasisFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond Credit Basis from G Spread to Workout |
double |
calcCreditBasisFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Credit Basis from I Spread to Maturity |
double |
calcCreditBasisFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond Credit Basis from I Spread to Workout |
double |
calcCreditBasisFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Credit Basis from Par ASW to Maturity |
double |
calcCreditBasisFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond Credit Basis from Par ASW to Workout |
double |
calcCreditBasisFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond credit basis to maturity from price |
double |
calcCreditBasisFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond credit basis to Workout from price |
double |
calcCreditBasisFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond Credit Basis from spread treasury benchmark to Maturity |
double |
calcCreditBasisFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond Credit Basis from spread treasury benchmark to Workout |
double |
calcCreditBasisFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond credit basis from Yield to maturity |
double |
calcCreditBasisFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond credit basis from Yield to work-out |
double |
calcCreditBasisFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond credit basis from Yield to maturity |
double |
calcCreditBasisFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond credit basis from Z Spread to maturity |
double |
calcCreditBasisFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond credit basis from Z Spread to Workout |
JulianDate |
calcCurrentCouponDate(JulianDate dt)
Returns the coupon date for the period subsequent to the specified date |
double |
calcCurrentCouponRate(ValuationParams valParams,
ComponentMarketParams mktParams)
Returns the coupon rate for the period corresponding to the specified date |
double |
calcDurationFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond duration from Bond Basis to maturity |
double |
calcDurationFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond duration from Bond Basis to Workout |
double |
calcDurationFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblCreditBasis)
Calculate the bond Duration from credit basis to Maturity |
double |
calcDurationFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond Duration from credit basis to Workout |
double |
calcDurationFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Duration from G Spread to Maturity |
double |
calcDurationFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond Duration from G Spread to Workout |
double |
calcDurationFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Duration from I Spread to Maturity |
double |
calcDurationFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond Duration from I Spread to Workout |
double |
calcDurationFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Duration from Par ASW to Maturity |
double |
calcDurationFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond Duration from Par ASW to Workout |
double |
calcDurationFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond duration to maturity from price |
double |
calcDurationFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond duration to Workout from price |
double |
calcDurationFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond duration from spread treasury benchmark to Maturity |
double |
calcDurationFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond duration from spread treasury benchmark to Workout |
double |
calcDurationFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond duration from Yield to maturity |
double |
calcDurationFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond duration from Workout Yield |
double |
calcDurationFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond duration from Yield to maturity |
double |
calcDurationFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond duration from Z Spread to maturity |
double |
calcDurationFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond duration from Z Spread to Workout |
double |
calcExerciseBondBasisFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the Bond Basis from credit basis to Exercise |
double |
calcExerciseBondBasisFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the Bond Basis from G Spread to Exercise |
double |
calcExerciseBondBasisFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the Bond Basis from I Spread to Exercise |
double |
calcExerciseBondBasisFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the Bond Basis from Par ASW to Exercise |
double |
calcExerciseBondBasisFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the Bond Basis to exercise from price |
double |
calcExerciseBondBasisFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the Bond Basis from spread treasury benchmark to Exercise |
double |
calcExerciseBondBasisFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond Basis from yield to exercise |
double |
calcExerciseBondBasisFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the Bond Basis from Z Spread to Exercise |
double |
calcExerciseConvexityFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond convexity from Bond Basis to exercise |
double |
calcExerciseConvexityFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblCreditBasis)
Calculate the bond convexity from credit basis to Exercise |
double |
calcExerciseConvexityFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond convexity from G Spread to Exercise |
double |
calcExerciseConvexityFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond convexity from I Spread to Exercise |
double |
calcExerciseConvexityFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond convexity from Par ASW to Exercise |
double |
calcExerciseConvexityFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond convexity to exercise from price |
double |
calcExerciseConvexityFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond convexity from spread treasury benchmark to Exercise |
double |
calcExerciseConvexityFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond convexity from Yield to exercise |
double |
calcExerciseConvexityFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond convexity from Z Spread to exercise |
double |
calcExerciseCreditBasisFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond credit basis from Bond Basis to exercise |
double |
calcExerciseCreditBasisFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Credit Basis from G Spread to Exercise |
double |
calcExerciseCreditBasisFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Credit Basis from I Spread to Exercise |
double |
calcExerciseCreditBasisFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Credit Basis from Par ASW to Exercise |
double |
calcExerciseCreditBasisFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond credit basis to exercise from price |
double |
calcExerciseCreditBasisFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond Credit Basis from spread treasury benchmark to Exercise |
double |
calcExerciseCreditBasisFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond credit basis from Yield to exercise |
double |
calcExerciseCreditBasisFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond credit basis from Z Spread to exercise |
double |
calcExerciseDurationFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond duration from Bond Basis to exercise |
double |
calcExerciseDurationFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblCreditBasis)
Calculate the bond Duration from credit basis to Exercise |
double |
calcExerciseDurationFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Duration from G Spread to Exercise |
double |
calcExerciseDurationFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Duration from I Spread to Exercise |
double |
calcExerciseDurationFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Duration from Par ASW to Exercise |
double |
calcExerciseDurationFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond duration to exercise from price |
double |
calcExerciseDurationFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond duration from spread treasury benchmark to Exercise |
double |
calcExerciseDurationFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond duration from Yield to exercise |
double |
calcExerciseDurationFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond duration from Z Spread to exercise |
double |
calcExerciseGSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond G Spread from Bond Basis to Exercise |
double |
calcExerciseGSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond G Spread from credit basis to Exercise |
double |
calcExerciseGSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblISpread)
Calculate the bond G Spread from I Spread to Exercise |
double |
calcExerciseGSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblParASW)
Calculate the bond G Spread from Par ASW to Exercise |
double |
calcExerciseGSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond G spread to exercise from price |
double |
calcExerciseGSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblTSYSpread)
Calculate the bond G Spread from spread treasury benchmark to Exercise |
double |
calcExerciseGSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblYield)
Calculate the bond G spread from Yield to exercise |
double |
calcExerciseGSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond G Spread from Z Spread to Exercise |
double |
calcExerciseISpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond I Spread from Bond Basis to exercise |
double |
calcExerciseISpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond I Spread from credit basis to Exercise |
double |
calcExerciseISpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblGSpread)
Calculate the bond I Spread from G Spread to Exercise |
double |
calcExerciseISpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblParASW)
Calculate the bond I Spread from Par ASW to Exercise |
double |
calcExerciseISpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond I spread to exercise from price |
double |
calcExerciseISpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblTSYSpread)
Calculate the bond I Spread from spread treasury benchmark to Exercise |
double |
calcExerciseISpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblYield)
Calculate the bond I spread from Yield to exercise |
double |
calcExerciseISpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond I Spread from Z Spread to exercise |
double |
calcExerciseParASWFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the Bond Par ASW from Bond Basis to exercise |
double |
calcExerciseParASWFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblCreditBasis)
Calculate the bond par ASW from credit basis to Exercise |
double |
calcExerciseParASWFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Par ASW from G Spread to Exercise |
double |
calcExerciseParASWFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Par ASW from I Spread to Exercise |
double |
calcExerciseParASWFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond par ASW to exercise from price |
double |
calcExerciseParASWFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond par ASW from spread treasury benchmark to Exercise |
double |
calcExerciseParASWFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond par ASW from Yield to exercise |
double |
calcExerciseParASWFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond par ASW from Z Spread to exercise |
double |
calcExercisePriceFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond price from Bond Basis to Exercise |
double |
calcExercisePriceFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond price from credit basis to Exercise |
double |
calcExercisePriceFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond price from G Spread to Exercise |
double |
calcExercisePriceFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond price from I Spread to Exercise |
double |
calcExercisePriceFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond price from Par ASW to Exercise |
double |
calcExercisePriceFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond price from spread treasury benchmark to Exercise |
double |
calcExercisePriceFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond price from exercise yield |
double |
calcExercisePriceFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond price from Z Spread to Exercise |
double |
calcExerciseTSYSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond spread to treasury from Bond Basis to exercise |
double |
calcExerciseTSYSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond Spread to Treasury from credit basis to Exercise |
double |
calcExerciseTSYSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblGSpread)
Calculate the bond Spread to Treasury from G Spread to Exercise |
double |
calcExerciseTSYSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblISpread)
Calculate the bond Spread to Treasury from I Spread to Exercise |
double |
calcExerciseTSYSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Spread to Treasury Benchmark from Par ASW to Exercise |
double |
calcExerciseTSYSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond spread to treasury to exercise from price |
double |
calcExerciseTSYSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond spread to treasury from exercise Yield |
double |
calcExerciseTSYSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond spread to treasury from Z Spread to exercise |
double |
calcExerciseYieldFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond yield from Bond Basis to Exercise |
double |
calcExerciseYieldFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond yield from credit basis to Exercise |
double |
calcExerciseYieldFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblGSpread)
Calculate the bond yield from G Spread to Exercise |
double |
calcExerciseYieldFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblISpread)
Calculate the bond yield from I Spread to Exercise |
double |
calcExerciseYieldFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblParASW)
Calculate the bond yield from Par ASW to Exercise |
WorkoutInfo |
calcExerciseYieldFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond yield to exercise from price |
double |
calcExerciseYieldFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblTSYSpread)
Calculate the bond yield from spread treasury benchmark to Exercise |
double |
calcExerciseYieldFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond yield from Z Spread to Exercise |
double |
calcExerciseZSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond Z Spread from Bond Basis to exercise |
double |
calcExerciseZSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond Z Spread from credit basis to Exercise |
double |
calcExerciseZSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Z Spread from G Spread to Exercise |
double |
calcExerciseZSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Z Spread from I Spread to Exercise |
double |
calcExerciseZSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Z Spread from Par ASW to Exercise |
double |
calcExerciseZSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond z spread to exercise from price |
double |
calcExerciseZSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond Z Spread from spread treasury benchmark to Exercise |
double |
calcExerciseZSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond Z Spread from yield to exercise |
double |
calcGSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond G Spread from Bond Basis to Maturity |
double |
calcGSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond G Spread from Bond Basis to Workout |
double |
calcGSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond G Spread from credit basis to Maturity |
double |
calcGSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond G Spread from credit basis to Workout |
double |
calcGSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblISpread)
Calculate the bond G Spread from I Spread to Maturity |
double |
calcGSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond G Spread from I Spread to Workout |
double |
calcGSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblParASW)
Calculate the bond G Spread from Par ASW to Maturity |
double |
calcGSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond G Spread from Par ASW to Workout |
double |
calcGSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond G spread to maturity from price |
double |
calcGSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond G spread to Workout from price |
double |
calcGSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblTSYSpread)
Calculate the bond G Spread from spread treasury benchmark to Maturity |
double |
calcGSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond G Spread from spread treasury benchmark to Workout |
double |
calcGSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblYield)
Calculate the bond G spread from Yield to maturity |
double |
calcGSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond G spread from Workout Yield |
double |
calcGSpreadFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblYield)
Calculate the bond G spread from Yield to maturity |
double |
calcGSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond G Spread from Z Spread to Maturity |
double |
calcGSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond G Spread from Z Spread to Workout |
double |
calcISpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond I Spread from Bond Basis to maturity |
double |
calcISpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond I Spread from Bond Basis to Workout |
double |
calcISpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond I Spread from credit basis to Maturity |
double |
calcISpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond I Spread from credit basis to Workout |
double |
calcISpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblGSpread)
Calculate the bond I Spread from G Spread to Maturity |
double |
calcISpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond I Spread from G Spread to Workout |
double |
calcISpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblParASW)
Calculate the bond I Spread from Par ASW to Maturity |
double |
calcISpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond I Spread from Par ASW to Workout |
double |
calcISpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond I spread to maturity from price |
double |
calcISpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond I spread to Workout from price |
double |
calcISpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblTSYSpread)
Calculate the bond I Spread from spread treasury benchmark to Maturity |
double |
calcISpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond I Spread from spread treasury benchmark to Workout |
double |
calcISpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblYield)
Calculate the bond I spread from Yield to maturity |
double |
calcISpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond I spread from Workout Yield |
double |
calcISpreadFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblYield)
Calculate the bond I spread from Yield to maturity |
double |
calcISpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond I Spread from Z Spread to maturity |
double |
calcISpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond I Spread from Z Spread to Workout |
JulianDate |
calcNextCouponDate(JulianDate dt)
Returns the coupon date for the period subsequent to the specified date |
double |
calcNextCouponRate(ValuationParams valParams,
ComponentMarketParams mktParams)
Returns the coupon rate for the period subsequent to the specified date |
NextExerciseInfo |
calcNextValidExerciseDateOfType(JulianDate dt,
boolean bGetPut)
Returns the next exercise info of the given exercise type (call/put) subsequent to the specified date |
NextExerciseInfo |
calcNextValidExerciseInfo(JulianDate dt)
Returns the next exercise info subsequent to the specified date |
double |
calcParASWFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the Bond Par ASW from Bond Basis to maturity |
double |
calcParASWFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the Bond Par ASW from Bond Basis to Workout |
double |
calcParASWFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblCreditBasis)
Calculate the bond par ASW from credit basis to Maturity |
double |
calcParASWFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond par ASW from credit basis to Workout |
double |
calcParASWFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Par ASW from G Spread to Maturity |
double |
calcParASWFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond Par ASW from G Spread to Workout |
double |
calcParASWFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Par ASW from I Spread to Maturity |
double |
calcParASWFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond Par ASW from I Spread to Workout |
double |
calcParASWFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond par ASW to maturity from price |
double |
calcParASWFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond par ASW to Workout from price |
double |
calcParASWFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond par ASW from spread treasury benchmark to Maturity |
double |
calcParASWFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond par ASW from spread treasury benchmark to Workout |
double |
calcParASWFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond par ASW from Yield to maturity |
double |
calcParASWFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond par ASW from Workout Yield |
double |
calcParASWFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond par ASW from Yield to maturity |
double |
calcParASWFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond par ASW from Z Spread to maturity |
double |
calcParASWFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond par ASW from Z Spread to Workout |
JulianDate |
calcPreviousCouponDate(JulianDate dt)
Returns the coupon date for the period prior to the specified date |
double |
calcPreviousCouponRate(ValuationParams valParams,
ComponentMarketParams mktParams)
Returns the coupon rate for the period prior to the specified date |
double |
calcPriceFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond price from Bond Basis to Maturity |
double |
calcPriceFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond price from Bond Basis to Workout |
double |
calcPriceFromBumpedCC(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond's credit risky theoretical price from the bumped credit curve |
double |
calcPriceFromBumpedDC(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblDCBump)
Calculate the bond's non-credit risky theoretical price from the bumped discount curve |
double |
calcPriceFromBumpedZC(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZCBump)
|
double |
calcPriceFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond price from credit basis to Maturity |
double |
calcPriceFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond price from credit basis to Workout |
double |
calcPriceFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond price from G Spread to Maturity |
double |
calcPriceFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond price from G Spread to Workout |
double |
calcPriceFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond price from I Spread to Maturity |
double |
calcPriceFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond price from I Spread to Workout |
double |
calcPriceFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond price from Par ASW to Maturity |
double |
calcPriceFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond price from Par ASW to Workout |
double |
calcPriceFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond price from spread treasury benchmark to Maturity |
double |
calcPriceFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond price from spread treasury benchmark to Workout |
double |
calcPriceFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond price from yield to maturity |
double |
calcPriceFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond price from yield to work-out |
double |
calcPriceFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond price from yield to maturity |
double |
calcPriceFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond price from Z Spread to Maturity |
double |
calcPriceFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond price from Z Spread to Workout |
double |
calcTSYSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond spread to treasury from Bond Basis to maturity |
double |
calcTSYSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond spread to treasury from Bond Basis to Workout |
double |
calcTSYSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond Spread to Treasury from credit basis to Maturity |
double |
calcTSYSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond Spread to Treasury from credit basis to Workout |
double |
calcTSYSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblGSpread)
Calculate the bond Spread to Treasury from G Spread to Maturity |
double |
calcTSYSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond Spread to Treasury from G Spread to Workout |
double |
calcTSYSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblISpread)
Calculate the bond Spread to Treasury from I Spread to Maturity |
double |
calcTSYSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond Spread to Treasury from I Spread to Workout |
double |
calcTSYSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Spread to Treasury Benchmark from Par ASW to Maturity |
double |
calcTSYSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond Spread to Treasury Benchmark from Par ASW to Workout |
double |
calcTSYSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond spread to treasury to maturity from price |
double |
calcTSYSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond spread to treasury to Workout from price |
double |
calcTSYSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond spread to treasury from Yield to maturity |
double |
calcTSYSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond spread to treasury from Workout Yield |
double |
calcTSYSpreadFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond spread to treasury from Yield to maturity |
double |
calcTSYSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond spread to treasury from Z Spread to maturity |
double |
calcTSYSpreadFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond spread to treasury from Z Spread to Workout |
double |
calcYieldFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond yield from Bond Basis to Maturity |
double |
calcYieldFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond yield from Bond Basis to Workout |
double |
calcYieldFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond yield from credit basis to Maturity |
double |
calcYieldFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond yield from credit basis to Workout |
double |
calcYieldFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblGSpread)
Calculate the bond yield from G Spread to Maturity |
double |
calcYieldFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond yield from G Spread to Workout |
double |
calcYieldFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblISpread)
Calculate the bond yield from I Spread to Maturity |
double |
calcYieldFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond yield from I Spread to Workout |
double |
calcYieldFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblParASW)
Calculate the bond yield from Par ASW to Maturity |
double |
calcYieldFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond yield from Par ASW to Workout |
double |
calcYieldFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond yield to maturity from price |
double |
calcYieldFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond yield to Workout from price |
double |
calcYieldFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblTSYSpread)
Calculate the bond yield from spread treasury benchmark to Maturity |
double |
calcYieldFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond yield from spread treasury benchmark to Workout |
double |
calcYieldFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblZSpread)
Calculate the bond yield from Z Spread to Maturity |
double |
calcYieldFromZSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblZSpread)
Calculate the bond yield from Z Spread to Workout |
double |
calcYTMFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond yield to maturity from price |
double |
calcZSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblBondBasis)
Calculate the bond Z Spread from Bond Basis to maturity |
double |
calcZSpreadFromBondBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblBondBasis)
Calculate the bond Z Spread from Bond Basis to work-out |
double |
calcZSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblCreditBasis)
Calculate the bond Z Spread from credit basis to Maturity |
double |
calcZSpreadFromCreditBasis(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblCreditBasis)
Calculate the bond Z Spread from credit basis to Workout |
double |
calcZSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblGSpread)
Calculate the bond Z Spread from G Spread to Maturity |
double |
calcZSpreadFromGSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblGSpread)
Calculate the bond Z Spread from G Spread to Workout |
double |
calcZSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblISpread)
Calculate the bond Z Spread from I Spread to Maturity |
double |
calcZSpreadFromISpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblISpread)
Calculate the bond Z Spread from I Spread to Workout |
double |
calcZSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblParASW)
Calculate the bond Z Spread from Par ASW to Maturity |
double |
calcZSpreadFromParASW(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblParASW)
Calculate the bond Z Spread from Par ASW to Workout |
double |
calcZSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Calculate the bond z spread to maturity from price |
double |
calcZSpreadFromPrice(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblPrice)
Calculate the bond z spread to Workout from price |
double |
calcZSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblTSYSpread)
Calculate the bond Z Spread from spread treasury benchmark to Maturity |
double |
calcZSpreadFromTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblTSYSpread)
Calculate the bond Z Spread from spread treasury benchmark to Workout |
double |
calcZSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond Z Spread from yield to maturity |
double |
calcZSpreadFromYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblWorkoutDate,
double dblWorkoutFactor,
double dblYield)
Calculate the bond Z Spread from Yield to work-out |
double |
calcZSpreadFromYTM(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblYield)
Calculate the bond Z Spread from yield to maturity |
java.lang.String |
getAccrualDC()
Return the bond's accrual day count |
java.lang.String |
getCalculationType()
Return the bond's calculation type |
CashSettleParams |
getCashSettleParams()
Gets the component cash settlement parameters |
java.lang.String |
getComponentName()
Gets the component name |
double |
getCoupon()
Gets the coupon at maturity |
double |
getCoupon(double dblDate)
Gets the component's coupon at the given date |
java.lang.String |
getCouponCurrency()
Return the bond's coupon currency |
java.lang.String |
getCouponDC()
Return the bond's coupon day count |
java.util.List<ProductCouponPeriodCurveMeasures> |
getCouponFlow(ValuationParams valParams,
PricerParams pricerParams,
DiscountCurve dc,
CreditCurve cc)
Gets the coupon flow for the credit component |
int |
getCouponFreq()
Return the bond's coupon frequency |
java.util.List<Period> |
getCouponPeriod()
Gets the component's coupon periods |
java.lang.String |
getCouponType()
Return the bond's coupon type |
java.lang.String |
getCreditCurveName()
Gets the credit curve name |
CompCRValParams |
getCRValParams()
Get the credit component's Credit Valuation Parameters |
double |
getCurrentCoupon()
Returns the current bond coupon |
java.lang.String |
getCUSIP()
Gets the CUSIP |
java.lang.String |
getEDSFCurveName()
Gets the EDSF curve name |
JulianDate |
getEffectiveDate()
Get the Effective Date |
double |
getEffectiveTsyBmkYield(ValuationParams valParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Retrieves the effective treasury benchmark yield from the valuation, the component market parameters, and the market price |
EmbeddedOptionSchedule |
getEmbeddedCallSchedule()
Return the bond's embedded call schedule |
EmbeddedOptionSchedule |
getEmbeddedPutSchedule()
Return the bond's embedded put schedule |
java.lang.String |
getFieldDelimiter()
Returns the Field Delimiter String |
JulianDate |
getFinalMaturity()
Return the bond's final maturity |
java.lang.String |
getFloatCouponConvention()
Return the bond's floating coupon convention |
double |
getFloatSpread()
Returns the floating spread of the bond |
double |
getInitialNotional()
Gets the Initial Notional for the Component |
java.lang.String |
getIRCurveName()
Gets the IR curve name |
java.lang.String |
getISIN()
Gets the ISIN |
java.util.List<ProductLossPeriodCurveMeasures> |
getLossFlow(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams)
Generates the loss flow for the credit component based on the pricer parameters |
java.util.List<ProductLossPeriodCurveMeasures> |
getLossFlowFromPrice(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams,
double dblPrice)
Gets the bond's loss flow from price |
JulianDate |
getMaturityDate()
Get the Maturity Date |
java.lang.String |
getMaturityType()
Return the bond's maturity type |
double |
getNotional(double dblDate)
Gets the Notional for the Component at the given date |
double |
getNotional(double dblDateStart,
double dblDateEnd)
Gets the time-weighted Notional for the Component between 2 dates |
java.lang.String |
getObjectTrailer()
Returns the Object Trailer String |
JulianDate |
getPeriodResetDate(double dblValue)
Get the bond's reset date for the period identified by the valuation date |
java.lang.String |
getPrimaryCode()
Return the primary code |
java.lang.String |
getRateIndex()
Returns the rate index of the bond |
double |
getRecovery(double dblDate,
CreditCurve cc)
Get the recovery of the credit component for the given date |
double |
getRecovery(double dblDateStart,
double dblDateEnd,
CreditCurve cc)
Get the time-weighted recovery of the credit component between the given dates |
java.lang.String |
getRedemptionCurrency()
Return the bond's redemption currency |
double |
getRedemptionValue()
Return the bond's redemption value |
java.lang.String[] |
getSecondaryCode()
Gets the component's secondary codes |
double[] |
getSecTSYSpread(ValuationParams valParams,
ComponentMarketParams mktParams)
Retrieves the array of double for the bond's secondary treasury spreads from the Valuation Parameters and the component market parameters |
java.lang.String |
getTicker()
Returns the bond ticker |
java.lang.String |
getTradeCurrency()
Return the bond's trade currency |
java.lang.String |
getTreasuryCurveName()
Gets the treasury curve name |
boolean |
hasBeenExercised()
Indicates if the bond has been exercised |
boolean |
hasDefaulted()
Indicates if the bond has defaulted |
boolean |
hasVariableCoupon()
Indicates if the bond has variable coupon |
boolean |
inFirstCouponPeriod(ValuationParams valParams)
Indicates whether the given date is in the first coupon period |
boolean |
inLastCouponPeriod(ValuationParams valParams)
Indicates whether the given date is in the final coupon period |
boolean |
isCallable()
Indicates if the bond is callable |
boolean |
isFloater()
Returns whether the bond is a floater |
boolean |
isPerpetual()
Indicates if the bond is perpetual |
boolean |
isPutable()
Indicates if the bond is putable |
boolean |
isSinkable()
Indicates if the bond is sinkable |
boolean |
isTradeable(ValuationParams valParams)
Calculates if the bond is tradeable on the given date |
static void |
main(java.lang.String[] astrArgs)
|
byte[] |
serialize()
Serialize into a byte array. |
boolean |
setCFTEParams(BondCFTerminationEvent cfteParams)
Sets the bond cash flow termination event parameters |
boolean |
setCouponParams(BondCouponParams cpnParams)
Sets the bond coupon parameters |
boolean |
setCRValuationParams(CompCRValParams crValParams)
Sets the bond Credit Valuation parameters |
boolean |
setCurrencyParams(BondCurrencyParams ccyParams)
Sets the bond currency parameters |
boolean |
setCurves(java.lang.String strIR,
java.lang.String strIRTSY,
java.lang.String strCC)
Sets the component's IR, treasury, and credit curve names |
void |
setEmbeddedCallSchedule(EmbeddedOptionSchedule eos)
Sets the bond's embedded call schedule |
void |
setEmbeddedPutSchedule(EmbeddedOptionSchedule eos)
Sets the bond's embedded put schedule |
boolean |
setFixings(java.util.Map<JulianDate,java.util.Map<java.lang.String,java.lang.Double>> mmFixings)
Sets the bond fixings |
boolean |
setFloaterParams(BondFloaterParams fltParams)
Sets the bond floater parameters |
boolean |
setIdentifierParams(BondIdentifierParams idParams)
Sets the bond identifier parameters |
boolean |
setIRValuationParams(BondIRValuationParams irValParams)
Sets the bond IR Valuation parameters |
boolean |
setNotionalParams(BondNotionalParams notlParams)
Sets the bond notional parameters |
boolean |
setPeriodGenParams(BondFixedPeriodGenerationParams periodParams)
Sets the bond Fixed Period Generation parameters |
void |
setPrimaryCode(java.lang.String strCode)
Sets the component's primary code |
boolean |
setQuotingParams(QuotingParams quotingParams)
Sets the bond quoting parameters |
boolean |
setTSYParams(BondTSYParams tsyParams)
Sets the bond treasury parameters |
void |
showPeriods()
Displays all the coupon periods onto stdout |
java.util.Map<java.lang.String,java.lang.Double> |
value(ValuationParams valParams,
PricerParams pricerParams,
ComponentMarketParams mktParams,
QuotingParams quotingParams)
Generates a full list of the component measures for the full input set of market parameters |
| Methods inherited from class org.drip.product.common.Component |
|---|
calcCustomScenarioMeasures, calcMeasures, calcMeasureValue |
| Methods inherited from class org.drip.analytics.core.Serializer |
|---|
getCollectionKeyValueDelimiter, getCollectionMultiLevelKeyDelimiter, getCollectionRecordDelimiter |
| Methods inherited from class java.lang.Object |
|---|
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait |
| Field Detail |
|---|
public BondTSYParams _tsyParams
public BondCouponParams _cpnParams
public BondNotionalParams _notlParams
public BondFloaterParams _fltParams
public java.util.Map<JulianDate,java.util.Map<java.lang.String,java.lang.Double>> _mmFixings
public BondCurrencyParams _ccyParams
public BondIdentifierParams _idParams
public BondIRValuationParams _irValParams
public CompCRValParams _crValParams
public BondCFTerminationEvent _cfteParams
public BondFixedPeriodGenerationParams _periodParams
public QuotingParams _quotingParams
| Constructor Detail |
|---|
public Bond()
public Bond(byte[] ab) throws java.lang.Exception
ab
- Byte Array
java.lang.Exception
- Thrown if Bond cannot be properly de-serialized| Method Detail |
|---|
public double[] getSecTSYSpread(ValuationParams valParams, ComponentMarketParams mktParams)
valParams
- ValuationParamsmktParams
- ComponentMarketParams
public double getEffectiveTsyBmkYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- ComponentMarketParamsquotingParams
- Bond Quoting parametersdblPrice
- Market price
java.lang.Exception
- Thrown if the effective benchmark cannot be calculatedpublic boolean setTSYParams(BondTSYParams tsyParams)
tsyParams
- Bond treasury parameters
public boolean setIdentifierParams(BondIdentifierParams idParams)
idParams
- Bond identifier parameters
public boolean setCouponParams(BondCouponParams cpnParams)
cpnParams
- Bond coupon parameters
public boolean setCurrencyParams(BondCurrencyParams ccyParams)
ccyParams
- Bond currency parameters
public boolean setFloaterParams(BondFloaterParams fltParams)
fltParams
- Bond floater parameters
public boolean setFixings(java.util.Map<JulianDate,java.util.Map<java.lang.String,java.lang.Double>> mmFixings)
mmFixings
- Bond fixings
public boolean setIRValuationParams(BondIRValuationParams irValParams)
irValParams
- Bond IR Valuation parameters
public boolean setCRValuationParams(CompCRValParams crValParams)
crValParams
- Bond credit Valuation parameters
public boolean setCFTEParams(BondCFTerminationEvent cfteParams)
cfteParams
- Bond cash flow termination event parameters
public boolean setPeriodGenParams(BondFixedPeriodGenerationParams periodParams)
periodParams
- Bond Fixed Period Generation parameters
public boolean setNotionalParams(BondNotionalParams notlParams)
notlParams
- Bond Notional parameters
public boolean setQuotingParams(QuotingParams quotingParams)
quotingParams
- Bond Quoting parameters
public java.lang.String getPrimaryCode()
CalibratableComponent
getPrimaryCode
in class CalibratableComponent
public void setPrimaryCode(java.lang.String strCode)
CalibratableComponent
setPrimaryCode
in class CalibratableComponent
strCode
- Primary Codepublic java.lang.String[] getSecondaryCode()
CalibratableComponent
getSecondaryCode
in class CalibratableComponent
public java.lang.String getISIN()
public java.lang.String getCUSIP()
public java.lang.String getComponentName()
ComponentMarketParamRef
public double getNotional(double dblDate) throws java.lang.Exception
Component
getNotional
in class Component
dblDate
- Double date input
java.lang.Exception
- Thrown if Notional cannot be computedpublic double getNotional(double dblDateStart, double dblDateEnd) throws java.lang.Exception
Component
getNotional
in class Component
dblDateStart
- Double date firstdblDateEnd
- Double date second
java.lang.Exception
- Thrown if Notional cannot be computedpublic double getInitialNotional() throws java.lang.Exception
Component
getInitialNotional
in class Component
java.lang.Exception
- Thrown if Initial Notional cannot be computedpublic double getRecovery(double dblDate, CreditCurve cc) throws java.lang.Exception
CreditComponent
getRecovery
in class CreditComponent
dblDate
- Double JulianDatecc
- Credit Curve
java.lang.Exception
- Thrown if recovery cannot be calculatedpublic double getRecovery(double dblDateStart, double dblDateEnd, CreditCurve cc) throws java.lang.Exception
CreditComponent
getRecovery
in class CreditComponent
dblDateStart
- Double JulianDatedblDateEnd
- Double JulianDatecc
- Credit Curve
java.lang.Exception
- Thrown if recovery cannot be calculatedpublic CompCRValParams getCRValParams()
CreditComponent
getCRValParams
in class CreditComponent
public double getCoupon(double dblDate) throws java.lang.Exception
Component
getCoupon
in class Component
dblDate
- Double Date
java.lang.Exception
- Thrown if Component's coupon cannot be calculatedpublic double getCoupon() throws java.lang.Exception
java.lang.Exception
public boolean setCurves(java.lang.String strIR, java.lang.String strIRTSY, java.lang.String strCC)
Component
setCurves
in class Component
strIR
- IR curve namestrIRTSY
- Treasury Curve NamestrCC
- Credit Curve Name
public java.lang.String getIRCurveName()
ComponentMarketParamRef
public java.lang.String getCreditCurveName()
ComponentMarketParamRef
public java.lang.String getTreasuryCurveName()
ComponentMarketParamRef
public java.lang.String getEDSFCurveName()
ComponentMarketParamRef
public JulianDate getEffectiveDate()
Component
getEffectiveDate
in class Component
public JulianDate getMaturityDate()
Component
getMaturityDate
in class Component
public java.util.List<Period> getCouponPeriod()
Component
getCouponPeriod
in class Component
public CashSettleParams getCashSettleParams()
Component
getCashSettleParams
in class Component
public java.util.List<ProductCouponPeriodCurveMeasures> getCouponFlow(ValuationParams valParams, PricerParams pricerParams, DiscountCurve dc, CreditCurve cc)
CreditComponent
getCouponFlow
in class CreditComponent
valParams
- ValuationParamspricerParams
- PricerParamsdc
- Discount Curvecc
- Credit Curve
public java.util.List<ProductLossPeriodCurveMeasures> getLossFlow(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams)
CreditComponent
getLossFlow
in class CreditComponent
valParams
- ValuationParamspricerParams
- PricerParamsmktParams
- ComponentMarketParams
public java.util.List<ProductLossPeriodCurveMeasures> getLossFlowFromPrice(ValuationParams valParams, PricerParams pricerParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice)
valParams
- ValuationParamspricerParams
- PricerParamsmktParams
- ComponentMarketParamsquotingParams
- Bond Quoting parametersdblPrice
- Input price
public boolean isFloater()
public java.lang.String getRateIndex()
public double getCurrentCoupon()
public double getFloatSpread()
public java.lang.String getTicker()
public void setEmbeddedCallSchedule(EmbeddedOptionSchedule eos)
eos
- Bond's embedded call schedulepublic void setEmbeddedPutSchedule(EmbeddedOptionSchedule eos)
eos
- Bond's embedded put schedulepublic boolean isCallable()
public boolean isPutable()
public boolean isSinkable()
public boolean hasVariableCoupon()
public boolean hasBeenExercised()
public boolean hasDefaulted()
public boolean isPerpetual()
public boolean isTradeable(ValuationParams valParams) throws java.lang.Exception
valParams
- Valuation Parameters
java.lang.Exception
- Thrown if inputs are invalidpublic EmbeddedOptionSchedule getEmbeddedCallSchedule()
public EmbeddedOptionSchedule getEmbeddedPutSchedule()
public java.lang.String getCouponType()
public java.lang.String getCouponDC()
public java.lang.String getAccrualDC()
public java.lang.String getMaturityType()
public int getCouponFreq()
public JulianDate getFinalMaturity()
public java.lang.String getCalculationType()
public double getRedemptionValue()
public java.lang.String getCouponCurrency()
public java.lang.String getRedemptionCurrency()
public boolean inFirstCouponPeriod(ValuationParams valParams) throws java.lang.Exception
valParams
- Valuation Parameters
java.lang.Exception
- Thrown if inputs are invalidpublic boolean inLastCouponPeriod(ValuationParams valParams) throws java.lang.Exception
valParams
- Valuation Parameters
java.lang.Exception
- Thrown if inputs are invalidpublic java.lang.String getTradeCurrency()
public java.lang.String getFloatCouponConvention()
public JulianDate getPeriodResetDate(double dblValue)
dblValue
- Valuation Date
public JulianDate calcPreviousCouponDate(JulianDate dt)
dt
- Valuation Date
public double calcPreviousCouponRate(ValuationParams valParams, ComponentMarketParams mktParams) throws java.lang.Exception
valParams
- Valuation Parameter
java.lang.Exception
- Thrown if the previous coupon rate cannot be calculatedpublic JulianDate calcCurrentCouponDate(JulianDate dt)
dt
- Valuation Date
public JulianDate calcNextCouponDate(JulianDate dt)
dt
- Valuation Date
public NextExerciseInfo calcNextValidExerciseDateOfType(JulianDate dt, boolean bGetPut)
dt
- Valuation DatebGetPut
- TRUE => Gets the next put date
public NextExerciseInfo calcNextValidExerciseInfo(JulianDate dt)
dt
- Valuation Date
public double calcCurrentCouponRate(ValuationParams valParams, ComponentMarketParams mktParams) throws java.lang.Exception
valParams
- Valuation Parameter
java.lang.Exception
- Thrown if the current period coupon rate cannot be calculatedpublic double calcNextCouponRate(ValuationParams valParams, ComponentMarketParams mktParams) throws java.lang.Exception
valParams
- Valuation Parameter
java.lang.Exception
- Thrown if the subsequent coupon rate cannot be calculatedpublic double calcAccrued(ValuationParams valParams, ComponentMarketParams mktParams) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parameters
java.lang.Exception
- Thrown if accrual cannot be calculatedpublic double calcPriceFromBumpedZC(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZCBump) throws java.lang.Exception
java.lang.Exception
public double calcPriceFromBumpedDC(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblDCBump) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- ComponentMarketParamsdblWorkoutDate
- Double Workout datedblWorkoutFactor
- Double Workout factordblDCBump
- Bump to be applied to the DC
java.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcPriceFromBumpedCC(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblCreditBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- ComponentMarketParamsdblWorkoutDate
- Double Workout datedblWorkoutFactor
- Double Workout factordblCreditBasis
- Bump to be applied to the credit curve
java.lang.Exception
- Thrown if the bond's credit risky theoretical price cannot be calculatedpublic double calcPriceFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYield
- Yield to work-out input
java.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcPriceFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity input
java.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcPriceFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity input
java.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcExercisePriceFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Exercise Yield input
java.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcZSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYield
- Yield to work-out input
java.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcZSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity input
java.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcZSpreadFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity input
java.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcExerciseZSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to exercise input
java.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcBondBasisFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYield
- Yield to work-out input
java.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcBondBasisFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity input
java.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcBondBasisFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity input
java.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcExerciseBondBasisFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to exercise input
java.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcCreditBasisFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblYield
- Yield to work-out input
java.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic double calcCreditBasisFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity input
java.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic double calcCreditBasisFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity input
java.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic double calcExerciseCreditBasisFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity input
java.lang.Exception
- Thrown if the Credit Basis cannot be calculatedpublic double calcTSYSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate workoutdblWorkoutFactor
- Workout factordblYield
- Workout Yield input
java.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcTSYSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity input
java.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcTSYSpreadFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity input
java.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcExerciseTSYSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity input
java.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcGSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate workoutdblWorkoutFactor
- Workout factordblYield
- Workout Yield input
java.lang.Exception
- Thrown if the G spread cannot be calculatedpublic double calcGSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblYield
- Yield to maturity input
java.lang.Exception
- Thrown if the G spread cannot be calculatedpublic double calcGSpreadFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblYield
- Yield to maturity input
java.lang.Exception
- Thrown if the G spread cannot be calculatedpublic double calcExerciseGSpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblYield
- Yield to maturity input
java.lang.Exception
- Thrown if the G spread cannot be calculatedpublic double calcISpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblWorkoutDate
- JulianDate workoutdblWorkoutFactor
- Workout factordblYield
- Workout Yield input
java.lang.Exception
- Thrown if the I spread cannot be calculatedpublic double calcISpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblYield
- Yield to maturity input
java.lang.Exception
- Thrown if the I spread cannot be calculatedpublic double calcISpreadFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblYield
- Yield to maturity input
java.lang.Exception
- Thrown if the I spread cannot be calculatedpublic double calcExerciseISpreadFromYield(ValuationParams valParams, ComponentMarketParams mktParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblYield
- Yield to exercise input
java.lang.Exception
- Thrown if the I spread cannot be calculatedpublic double calcDurationFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate workoutdblWorkoutFactor
- Workout factordblYield
- Workout Yield input
java.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcDurationFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity input
java.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcDurationFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity input
java.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcExerciseDurationFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to exercise input
java.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcParASWFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate workoutdblWorkoutFactor
- Workout factordblYield
- Workout Yield input
java.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcParASWFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity input
java.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcParASWFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity input
java.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcExerciseParASWFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to exercise input
java.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcConvexityFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate workoutdblWorkoutFactor
- Workout factordblYield
- Workout Yield input
java.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcConvexityFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity input
java.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcConvexityFromYTM(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to maturity input
java.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcExerciseConvexityFromYield(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblYield) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblYield
- Yield to exercise input
java.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcYieldFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate workoutdblWorkoutFactor
- Workout factordblPrice
- Price input
java.lang.Exception
- Thrown if the yield to Workout cannot be calculatedpublic double calcYieldFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price input
java.lang.Exception
- Thrown if the yield to maturity cannot be calculatedpublic double calcYTMFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price input
java.lang.Exception
- Thrown if the yield to maturity cannot be calculatedpublic WorkoutInfo calcExerciseYieldFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice)
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price input
java.lang.Exception
- Thrown if the yield to exercise cannot be calculatedpublic double calcZSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate workoutdblWorkoutFactor
- Workout factordblPrice
- Price input
java.lang.Exception
- Thrown if the z spread to Workout cannot be calculatedpublic double calcZSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price input
java.lang.Exception
- Thrown if the z spread to maturity cannot be calculatedpublic double calcExerciseZSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price input
java.lang.Exception
- Thrown if the z spread to exercise cannot be calculatedpublic double calcBondBasisFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate workoutdblWorkoutFactor
- Workout factordblPrice
- Price input
java.lang.Exception
- Thrown if the Bond Basis to Workout cannot be calculatedpublic double calcBondBasisFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price input
java.lang.Exception
- Thrown if the Bond Basis to maturity cannot be calculatedpublic double calcExerciseBondBasisFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price input
java.lang.Exception
- Thrown if the Bond Basis to exercise cannot be calculatedpublic double calcCreditBasisFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate workoutdblWorkoutFactor
- Workout factordblPrice
- Price input
java.lang.Exception
- Thrown if the credit basis to Workout cannot be calculatedpublic double calcCreditBasisFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price input
java.lang.Exception
- Thrown if the credit basis to maturity cannot be calculatedpublic double calcExerciseCreditBasisFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersdblPrice
- Price input
java.lang.Exception
- Thrown if the credit basis to exercise cannot be calculatedpublic double calcTSYSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate workoutdblWorkoutFactor
- Workout factordblPrice
- Price input
java.lang.Exception
- Thrown if the spread to treasury to Workout cannot be calculatedpublic double calcTSYSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price input
java.lang.Exception
- Thrown if the spread to treasury to maturity cannot be calculatedpublic double calcExerciseTSYSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price input
java.lang.Exception
- Thrown if the spread to treasury to exercise cannot be calculatedpublic double calcGSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate workoutdblWorkoutFactor
- Workout factordblPrice
- Price input
java.lang.Exception
- Thrown if the G spread to Workout cannot be calculatedpublic double calcGSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price input
java.lang.Exception
- Thrown if the G spread to maturity cannot be calculatedpublic double calcExerciseGSpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price input
java.lang.Exception
- Thrown if the G spread to exercise cannot be calculatedpublic double calcISpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate workoutdblWorkoutFactor
- Workout factordblPrice
- Price input
java.lang.Exception
- Thrown if the I spread to Workout cannot be calculatedpublic double calcISpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price input
java.lang.Exception
- Thrown if the I spread to maturity cannot be calculatedpublic double calcExerciseISpreadFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price input
java.lang.Exception
- Thrown if the I spread to exercise cannot be calculatedpublic double calcDurationFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate workoutdblWorkoutFactor
- Workout factordblPrice
- Price input
java.lang.Exception
- Thrown if the duration to Workout cannot be calculatedpublic double calcDurationFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price input
java.lang.Exception
- Thrown if the duration to maturity cannot be calculatedpublic double calcExerciseDurationFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price input
java.lang.Exception
- Thrown if the duration to exercise cannot be calculatedpublic double calcParASWFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate workoutdblWorkoutFactor
- Workout factordblPrice
- Price input
java.lang.Exception
- Thrown if the par ASW to Workout cannot be calculatedpublic double calcParASWFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price input
java.lang.Exception
- Thrown if the par ASW to maturity cannot be calculatedpublic double calcExerciseParASWFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price input
java.lang.Exception
- Thrown if the par ASW to exercise cannot be calculatedpublic double calcConvexityFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate workoutdblWorkoutFactor
- Workout factordblPrice
- Price input
java.lang.Exception
- Thrown if the convexity to Workout cannot be calculatedpublic double calcConvexityFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price input
java.lang.Exception
- Thrown if the convexity to maturity cannot be calculatedpublic double calcExerciseConvexityFromPrice(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblPrice) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblPrice
- Price input
java.lang.Exception
- Thrown if the convexity to exercise cannot be calculatedpublic double calcPriceFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate workoutdblWorkoutFactor
- Workout factordblZSpread
- Z Spread to Workout input
java.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcPriceFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Maturity input
java.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcExercisePriceFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Exercise input
java.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcBondBasisFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate workoutdblWorkoutFactor
- Workout factordblZSpread
- Z Spread to Workout input
java.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcBondBasisFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Maturity input
java.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcExerciseBondBasisFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Exercise input
java.lang.Exception
- Thrown if the Bond Basis cannot be calculatedpublic double calcYieldFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate workoutdblWorkoutFactor
- Workout factordblZSpread
- Z Spread to Workout input
java.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcYieldFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Maturity input
java.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcExerciseYieldFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Exercise input
java.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcCreditBasisFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate workoutdblWorkoutFactor
- Workout factordblZSpread
- Z Spread to Workout input
java.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic double calcCreditBasisFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to maturity input
java.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic double calcExerciseCreditBasisFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to exercise input
java.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic double calcTSYSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate workoutdblWorkoutFactor
- Workout factordblZSpread
- Z Spread to Workout input
java.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcTSYSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to maturity input
java.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcExerciseTSYSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to exercise input
java.lang.Exception
- Thrown if the spread to treasury cannot be calculatedpublic double calcGSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate workoutdblWorkoutFactor
- Workout factordblZSpread
- Z Spread to Workout input
java.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcGSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Maturity input
java.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcExerciseGSpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to Exercise input
java.lang.Exception
- Thrown if the G Spread cannot be calculatedpublic double calcISpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate workoutdblWorkoutFactor
- Workout factordblZSpread
- Z Spread to Workout input
java.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcISpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to maturity input
java.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcExerciseISpreadFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to exercise input
java.lang.Exception
- Thrown if the I Spread cannot be calculatedpublic double calcDurationFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate workoutdblWorkoutFactor
- Workout factordblZSpread
- Z Spread to Workout input
java.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcDurationFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to maturity input
java.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcExerciseDurationFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to exercise input
java.lang.Exception
- Thrown if the duration cannot be calculatedpublic double calcParASWFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate workoutdblWorkoutFactor
- Workout factordblZSpread
- Z Spread to Workout input
java.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcParASWFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to maturity input
java.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcExerciseParASWFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to exercise input
java.lang.Exception
- Thrown if the par ASW cannot be calculatedpublic double calcConvexityFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate workoutdblWorkoutFactor
- Workout factordblZSpread
- Z Spread to Workout input
java.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcConvexityFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to maturity input
java.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcExerciseConvexityFromZSpread(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblZSpread) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblZSpread
- Z Spread to exercise input
java.lang.Exception
- Thrown if the convexity cannot be calculatedpublic double calcPriceFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate workoutdblWorkoutFactor
- Workout factordblBondBasis
- Bond Basis to Workout input
java.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcPriceFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to Maturity input
java.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcExercisePriceFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to Exercise input
java.lang.Exception
- Thrown if the price cannot be calculatedpublic double calcZSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate work-outdblWorkoutFactor
- Work-out factordblBondBasis
- Bond Basis to work-out input
java.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcZSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to maturity input
java.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcExerciseZSpreadFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to exercise input
java.lang.Exception
- Thrown if the Z Spread cannot be calculatedpublic double calcYieldFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate workoutdblWorkoutFactor
- Workout factordblBondBasis
- Bond Basis to Workout input
java.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcYieldFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to Maturity input
java.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcExerciseYieldFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to Exercise input
java.lang.Exception
- Thrown if the yield cannot be calculatedpublic double calcCreditBasisFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblWorkoutDate, double dblWorkoutFactor, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblWorkoutDate
- JulianDate workoutdblWorkoutFactor
- Workout factordblBondBasis
- Bond Basis to Workout input
java.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic double calcCreditBasisFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to maturity input
java.lang.Exception
- Thrown if the credit basis cannot be calculatedpublic double calcExerciseCreditBasisFromBondBasis(ValuationParams valParams, ComponentMarketParams mktParams, QuotingParams quotingParams, double dblBondBasis) throws java.lang.Exception
valParams
- ValuationParamsmktParams
- Bond market parametersquotingParams
- Bond Quoting parametersdblBondBasis
- Bond Basis to exercise input
java.lang.Exception